| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -28.63% | -20.74% |
| CAGR﹪ | -15.56% | -11.0% |
| Sharpe | -0.7 | -0.43 |
| Prob. Sharpe Ratio | 16.47% | 28.31% |
| Smart Sharpe | -0.68 | -0.41 |
| Sortino | -0.94 | -0.64 |
| Smart Sortino | -0.91 | -0.62 |
| Sortino/√2 | -0.66 | -0.45 |
| Smart Sortino/√2 | -0.64 | -0.44 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -38.3% | -39.65% |
| Longest DD Days | 713 | 478 |
| Volatility (ann.) | 21.82% | 22.75% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.41 | -0.28 |
| Skew | -0.32 | 1.46 |
| Kurtosis | 5.12 | 16.23 |
| Expected Daily | -0.07% | -0.05% |
| Expected Monthly | -1.4% | -0.96% |
| Expected Yearly | -10.64% | -7.46% |
| Kelly Criterion | -4.58% | -4.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.32% | -2.4% |
| Expected Shortfall (cVaR) | -2.32% | -2.4% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.12 | -0.09 |
| Gain/Pain (1M) | -0.39 | -0.31 |
| Payoff Ratio | 0.93 | 1.05 |
| Profit Factor | 0.88 | 0.91 |
| Common Sense Ratio | 0.71 | 0.84 |
| CPC Index | 0.41 | 0.44 |
| Tail Ratio | 0.81 | 0.93 |
| Outlier Win Ratio | 4.8 | 4.9 |
| Outlier Loss Ratio | 4.38 | 5.37 |
| MTD | -3.09% | 10.1% |
| 3M | -33.28% | -25.87% |
| 6M | -29.18% | -26.13% |
| YTD | -26.65% | -24.15% |
| 1Y | -26.37% | -23.83% |
| 3Y (ann.) | -15.56% | -11.0% |
| 5Y (ann.) | -15.56% | -11.0% |
| 10Y (ann.) | -15.56% | -11.0% |
| All-time (ann.) | -15.56% | -11.0% |
| Best Day | 6.36% | 10.7% |
| Worst Day | -6.83% | -6.67% |
| Best Month | 10.74% | 10.1% |
| Worst Month | -15.71% | -16.34% |
| Best Year | 2.77% | 4.12% |
| Worst Year | -26.65% | -24.15% |
| Avg. Drawdown | -19.96% | -5.85% |
| Avg. Drawdown Days | 358 | 63 |
| Recovery Factor | -0.75 | -0.52 |
| Ulcer Index | 0.15 | 0.13 |
| Serenity Index | -0.1 | -0.1 |
| Avg. Up Month | 3.74% | 3.06% |
| Avg. Down Month | -7.72% | -5.95% |
| Win Days | 49.47% | 46.23% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 44.44% | 55.56% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.57 | - |
| Alpha | -0.1 | - |
| Correlation | 59.57% | - |
| Treynor Ratio | -50.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.12 | 2.77 | 0.67 | - |
| 2021 | 0.36 | -5.32 | -14.94 | - |
| 2022 | -24.15 | -26.65 | 1.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2022-07-21 | -38.30 | 713 |
| 2020-08-03 | 2020-08-05 | -1.62 | 2 |